Software to construct a continuous contract?

Discussion in 'Automated Trading' started by dyson, Feb 23, 2012.

  1. What is your definition of a "continous contract"? Is it based on volume, or based on contract expiration date, etc?

    I download quotes for a bunch of different expirations into a single database table, then I run a SQL query to group they by date and contract, and then delete all contracts that aren't the one with the highest volume for that particular date.
     
    #11     Mar 3, 2012
  2. cashcow

    cashcow

    There are numerous ways to create a continuous contract, generally they rely upon tracking volume changes from one contract to another and/or expiration date. Sometimes back months are adjusted so as to normalize relative change between contracts.
    Whichever way, I know of no software which allows one to specify a series of input files and produces a continuous contract.
     
    #12     Mar 3, 2012
  3. rknas

    rknas

    With NinjaTrader 7 and Zen fire data, you can get continuous charts for the ES and CL for several months (at least 6).
     
    #13     Mar 5, 2012
  4. dyson

    dyson

    I decided to code a utility myself this weekend; built in PHP.

    I am using a mix of volume and open interest to locate rollover dates.

    Thanks for all the suggestions.
     
    #14     Mar 5, 2012